Pesaran, Bahram; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC...